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Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions

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  • Helmut Lütkepohl
  • Till Strohsal

Abstract

We replicate a study by Känzig (American Economic Review, 111 (2021), 1092-1125), who employs structural vector autoregressive techniques to examine the impact of changes in oil supply expectations on the price of oil and other macroeconomic aggregates. Känzig identifies an oil supply news shock by constructing a proxy from OPEC announcements about their production plans. As this proxy is a controversial instrument for oil supply news, we use the non-Gaussianity of the data to identify independent structural shocks and find that one of them corresponds closely to Känzig’s oil supply news shock, implying that the proxy is not necessarily needed to obtain a shock with the same characteristics.

Suggested Citation

  • Helmut Lütkepohl & Till Strohsal, 2025. "Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions," Discussion Papers of DIW Berlin 2146, DIW Berlin, German Institute for Economic Research.
    • Handle: RePEc:diw:diwwpp:dp2146
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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